feat(strategy): add MACD strategy

3 files changed, 159 insertions, 0 deletions

diff --git a/services/strategy-engine/strategies/config/macd_strategy.yaml b/services/strategy-engine/strategies/config/macd_strategy.yaml
new file mode 100644
index 0000000..9d55c39
--- /dev/null
+++ b/services/strategy-engine/strategies/config/macd_strategy.yaml
@@ -0,0 +1,4 @@
+fast_period: 12
+slow_period: 26
+signal_period: 9
+quantity: "0.01"
diff --git a/services/strategy-engine/strategies/macd_strategy.py b/services/strategy-engine/strategies/macd_strategy.py
new file mode 100644
index 0000000..049574e
--- /dev/null
+++ b/services/strategy-engine/strategies/macd_strategy.py
@@ -0,0 +1,75 @@
+from collections import deque
+from decimal import Decimal
+
+import pandas as pd
+
+from shared.models import Candle, Signal, OrderSide
+from strategies.base import BaseStrategy
+
+
+class MacdStrategy(BaseStrategy):
+    name: str = "macd"
+
+    def __init__(self) -> None:
+        self._fast_period: int = 12
+        self._slow_period: int = 26
+        self._signal_period: int = 9
+        self._quantity: Decimal = Decimal("0.01")
+        self._closes: deque[float] = deque(maxlen=500)
+        self._prev_histogram: float | None = None
+
+    @property
+    def warmup_period(self) -> int:
+        return self._slow_period + self._signal_period
+
+    def configure(self, params: dict) -> None:
+        self._fast_period = int(params.get("fast_period", 12))
+        self._slow_period = int(params.get("slow_period", 26))
+        self._signal_period = int(params.get("signal_period", 9))
+        self._quantity = Decimal(str(params.get("quantity", "0.01")))
+
+    def reset(self) -> None:
+        self._closes.clear()
+        self._prev_histogram = None
+
+    def on_candle(self, candle: Candle) -> Signal | None:
+        self._closes.append(float(candle.close))
+
+        if len(self._closes) < self.warmup_period:
+            return None
+
+        series = pd.Series(list(self._closes))
+
+        fast_ema = series.ewm(span=self._fast_period, adjust=False).mean()
+        slow_ema = series.ewm(span=self._slow_period, adjust=False).mean()
+        macd_line = fast_ema - slow_ema
+        signal_line = macd_line.ewm(span=self._signal_period, adjust=False).mean()
+        histogram = macd_line - signal_line
+
+        current_histogram = float(histogram.iloc[-1])
+        signal = None
+
+        if self._prev_histogram is not None:
+            # Bullish crossover: histogram crosses from negative to positive
+            if self._prev_histogram <= 0 and current_histogram > 0:
+                signal = Signal(
+                    strategy=self.name,
+                    symbol=candle.symbol,
+                    side=OrderSide.BUY,
+                    price=candle.close,
+                    quantity=self._quantity,
+                    reason=f"MACD bullish crossover: histogram {self._prev_histogram:.6f} -> {current_histogram:.6f}",
+                )
+            # Bearish crossover: histogram crosses from positive to negative
+            elif self._prev_histogram >= 0 and current_histogram < 0:
+                signal = Signal(
+                    strategy=self.name,
+                    symbol=candle.symbol,
+                    side=OrderSide.SELL,
+                    price=candle.close,
+                    quantity=self._quantity,
+                    reason=f"MACD bearish crossover: histogram {self._prev_histogram:.6f} -> {current_histogram:.6f}",
+                )
+
+        self._prev_histogram = current_histogram
+        return signal
diff --git a/services/strategy-engine/tests/test_macd_strategy.py b/services/strategy-engine/tests/test_macd_strategy.py
new file mode 100644
index 0000000..e1ae2a3
--- /dev/null
+++ b/services/strategy-engine/tests/test_macd_strategy.py
@@ -0,0 +1,80 @@
+"""Tests for the MACD strategy."""
+from datetime import datetime, timezone
+from decimal import Decimal
+
+import pytest
+
+from shared.models import Candle, OrderSide
+from strategies.macd_strategy import MacdStrategy
+
+
+def _candle(price: float) -> Candle:
+    return Candle(
+        symbol="BTC/USDT",
+        timeframe="1m",
+        open_time=datetime(2024, 1, 1, tzinfo=timezone.utc),
+        open=Decimal(str(price)),
+        high=Decimal(str(price)),
+        low=Decimal(str(price)),
+        close=Decimal(str(price)),
+        volume=Decimal("1.0"),
+    )
+
+
+def _make_strategy(**kwargs) -> MacdStrategy:
+    params = {"fast_period": 3, "slow_period": 6, "signal_period": 3, "quantity": "0.01"}
+    params.update(kwargs)
+    s = MacdStrategy()
+    s.configure(params)
+    return s
+
+
+def test_macd_warmup_period():
+    s = _make_strategy()
+    assert s.warmup_period == 6 + 3  # slow_period + signal_period
+
+
+def test_macd_no_signal_insufficient_data():
+    s = _make_strategy()
+    # Feed fewer candles than warmup_period
+    for price in [100.0, 101.0, 102.0]:
+        result = s.on_candle(_candle(price))
+        assert result is None
+
+
+def test_macd_buy_signal_on_bullish_crossover():
+    s = _make_strategy()
+    # Declining prices drive MACD histogram negative, then rising prices cross positive
+    prices = [100, 99, 98, 97, 96, 95, 94, 93, 92, 91, 90, 89, 88]
+    prices += [89, 91, 94, 98, 103, 109, 116, 124, 133, 143]
+    signal = None
+    for p in prices:
+        result = s.on_candle(_candle(float(p)))
+        if result is not None:
+            signal = result
+    assert signal is not None, "Expected a BUY signal from bullish crossover"
+    assert signal.side == OrderSide.BUY
+
+
+def test_macd_sell_signal_on_bearish_crossover():
+    s = _make_strategy()
+    # Rising prices drive MACD histogram positive, then declining prices cross negative
+    prices = [100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 110, 111, 112]
+    prices += [111, 109, 106, 102, 97, 91, 84, 76, 67, 57]
+    signal = None
+    for p in prices:
+        result = s.on_candle(_candle(float(p)))
+        if result is not None:
+            signal = result
+    assert signal is not None, "Expected a SELL signal from bearish crossover"
+    assert signal.side == OrderSide.SELL
+
+
+def test_macd_reset_clears_state():
+    s = _make_strategy()
+    for p in [100, 101, 102, 103, 104, 105, 106, 107, 108]:
+        s.on_candle(_candle(float(p)))
+    assert len(s._closes) > 0
+    s.reset()
+    assert len(s._closes) == 0
+    assert s._prev_histogram is None